it's all about the export format.
not sure what 3d formats xna accepts but presumably it accepts the directX 3D format (is it .X?) and i heard that it natively supports .3ds export format (3ds max export format) most 3d editors. blender included support export scripts and blender ships with a .3ds export script.
as for unreal editor... i know nothing about it. or what export formats it supports. but i assume that its specifically for Unreal games and games running on the unreal engine. so presumably you cant use it. however there could be converters..
2D images are easy.. any .bmp (bitmap) or .jpeg (forget the acronym) but I prefer .png (portable network graphics) good compression with an alpha channel. you can use the printscreen button to capture anything on your computer screen and fairly well convert between image formats. be warned about lossy and loss-less conversions. both jpg and png are lossy (they will discard some image data in order to reduce size.. not enough so you'd notice any difference but it can screw up alpha maps) bmp is loss-less it holds the entire image as-is but generally has larger filesize.
movies are also freely convertable. run-down of movies is you have a container (.avi .divx .mov etc...) then within the container is a video stream (h264 by mpeg is a good favourite) and an audio stream (.wmv .mp3 etc..) you can convert between them with ffmpeg. dunno how good you are with linux. doesnt work on windows because visual studio doesnt conform to international standards. though apparently some people have got it to work. check out sourceforge. anyway ffmpeg pretty much can convert any container format video stream and audio stream so you can use it for video and audio. and its free.
hope that helps...
D.R
